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系統識別號 U0002-2806200711295700
中文論文名稱 美國波動度指數與標的及相關指數之非線性平滑移轉模型之應用
英文論文名稱 Smooth transition application for the relationship between volatility index and each index of its underlying asset and related asset.
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 95
學期 2
出版年 96
研究生中文姓名 紀少強
研究生英文姓名 Shao-Chiang Chi
學號 694490169
學位類別 碩士
語文別 中文
口試日期 2007-06-21
論文頁數 59頁
口試委員 指導教授-聶建中
共同指導教授-張倉耀
委員-劉祥熹
委員-古永嘉
委員-楊敏華
中文關鍵字 平滑移轉迴歸模型  自我迴歸遞延落差  波動度指數 
英文關鍵字 logistic smooth transition regression model  ARDL bounding  volatility index 
學科別分類 學科別社會科學商學
中文摘要 本研究探討美國波動度指數與標的指數(S&P500)、那斯達克指數和道瓊工業指數之非線性誤差修正平滑移轉效果,運用Pesaran et al. (2001)自我迴歸遞延落差(ARDL)模型之區間測試(Bound Test)法,檢測波動度指數與標的指數、那斯達克指數和道瓊工業指數短期動態調整至長期均衡的調整過程,並將ARDL的誤差修正係數做為轉換變數,配適非線性平滑移轉誤差修正模型,臆測標的指數、那斯達克指數和道瓊工業指數對波動度是否存在非線性平滑移轉效果。
實證結果發現,就短期而言S&P500指數、Nasdaq綜合指數及Dow Jones工業平均指數的走向是與VIX波動度的變動呈反向的關係,表示各指數在偏離均衡後,前期之調整在短期間即可回復至均衡,顯示此市場是有效率。S&P 500指數對於VIX指數的負向關係較Nasdaq綜合指數及Dow Jones工業平均指數為強烈,因S&P500指數為VIX指數之標的資產指數。另外,考量VIX與標的及Nasdaq和Dow Jones指數之非線性特性,以誤差修正做為門檻轉換變數的LSTECM模型,其結果能有效捕捉到線性模型無法觀察到的現象。
英文摘要 The purpose of this research is to test smooth transition for the relationship between volatility and each of its underlying asset and related assets. At the beginning, we use ARDL bounding tests to test the long run and short run relationship between volatility and each of its underlying assets and related assets. Then, we show that the logistic smooth transition error correction model has a better explained than a linear model. We consider the error correction term as the transition variable which is estimated from an underlying cointegrating relationship predicted by the error correction representation of ARDL model.
The results as follow: First, not surprisingly, there is a negative and statistically significant relationship between volatility and each of its underlying asset and related assets. Second, VIX and its underlying asset have stronger negative relationship than with other related assets. Finally, the LSTECM model can effectively catch these nonlinear relationships. Thus traders willing to enter oversold markets should wait until extremely high levels of volatility are witnessed, and their strategy should be strictly on a short-term basis.
論文目次 第一章 緒論
第一節 研究背景............................................1
第二節 研究動機............................................3
第三節 研究目的............................................4
第四節 研究流程............................................6
第三節 研究架構............................................7
第二章 文獻回顧............................................8
第三章 研究方法與模型建立
第一節 單根檢定...........................................26
第二節 ARDL區間測試法.....................................31
第三節 設定誤差修正模型...................................33
第四章 實證結果與分析
第一節 資料說明與處理.....................................40
第二節 單根檢定結果.......................................41
第三節 ARDL區間測試法.....................................44
第四節 模型形態之選擇.....................................45
第五節平滑轉換誤差修正模型之估計..........................48
第五章 結論...............................................52
參考文獻..................................................53

圖次
圖1-1:研究流程圖..........................................6
圖4-1:VIX與S&P500指數、那斯達克與道瓊指數走勢圖..........40
圖4-2:各變數經差分一次之時間趨勢圖.......................43
圖4-3:累積殘差平方和.....................................46
圖4-4:VIX波動度之logistic轉換函數........................51

表次
表1-1:全球十大股價指數契約排名............................1
表2-1:波動率的預測方式分類...............................14
表2-2:CBOE波動率指數VXO選擇權序列選取表..................24
表3-1:非線性模型選擇.....................................38
表4-1:VIX與S&P500指數、那斯達克與道瓊指數相關係數........40
表4-2:單根檢定...........................................42
表4-3:ARDL-UECM模型的估計表..............................44
表4-4:ARDL誤差修正模.....................................45
表4-5:VIX之非線性檢定....................................46
表4-6:VIX之非線性檢定結果................................47
表4-7:LSTECM 對VIX波動度之模型估計結果...................49
表4-8:誤差修正對VIX波動度模型中控制變數之影響............50


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